Date of Award
Master of Philosophy (MPHIL)
Prof. RAN Jimmy
Prof. WHITTEN Gregory William
This thesis investigates effects of exchange rate exposure upon stock returns of a large sample of Chinese firms when they are divided into SOEs and non-SOEs. I obtain the exposure estimates first and examine their determinants. By extending the current literature, I introduce the ownership structure into the framework and I compare different ownership impacts on the exposure before and after the Reform. My study shows that a SOE or non-SOE firm makes no difference in facing the exchange rate exposure before the Reform. If a firm is a SOE, the firm faces smaller exposure after the Reform. I further explore the asymmetric exposure from currency depreciation and appreciation in relation to ownership structure. I find that non-SOEs face higher exposure from appreciation than from depreciation before the Reform. But both SOEs and non-SOEs face lower exposure from appreciation than from depreciation after the Reform.
The copyright of this thesis is owned by its author. Any reproduction, adaptation, distribution or dissemination of this thesis without express authorization is strictly prohibited.
Jia, L. (2016). Ownership structure impact on exchange rate exposure under the RMB regime reform (Master's thesis, Lingnan University, Hong Kong). Retrieved from http://commons.ln.edu.hk/econ_etd/28